Today I accidentally chose "outdoor walk" while on the treadmill instead of "indoor walk". As outdoor walks help calibrate your Apple Watch in regards to fitness, stride, etc I'm worried that I've stuffed it up.

I've since deleted that workout but should I also reset calibration or is deleting the workout enough? I know it may seem trivial but I'm pretty ocd about these things and getting stats as accurate as possible.

It only calibrates when connected to GPS. Also calibration is an ongoing process. So anytime you run or walk outside using the appropriate Workout app connected to GPS the Watch is dynamically calibrating.

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